Abstract

http://ssrn.com/abstract=1601551
 
 

References (19)



 
 

Citations (13)



 


 



Using Stock Returns to Identify Government Spending Shocks


Jonas D. M. Fisher


Federal Reserve Bank of Chicago - Economic Research Department

Ryan H. Peters


University of Pennsylvania - The Wharton School; Federal Reserve Bank of Chicago

2010-02-20

The Economic Journal, Vol. 120, Issue 544, pp. 414-436, May 2010

Abstract:     
This article explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 1.5 over a horizon of 5 years.

Number of Pages in PDF File: 23

Accepted Paper Series





Date posted: May 10, 2010  

Suggested Citation

Fisher, Jonas D. M. and Peters, Ryan H., Using Stock Returns to Identify Government Spending Shocks (2010-02-20). The Economic Journal, Vol. 120, Issue 544, pp. 414-436, May 2010. Available at SSRN: http://ssrn.com/abstract=1601551 or http://dx.doi.org/10.1111/j.1468-0297.2010.02355.x

Contact Information

Jonas D.M. Fisher (Contact Author)
Federal Reserve Bank of Chicago - Economic Research Department ( email )
230 South LaSalle Street
Chicago, IL 60604-1413
United States
Ryan H. Peters
University of Pennsylvania - The Wharton School ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

Federal Reserve Bank of Chicago ( email )
230 South LaSalle Street
Chicago, IL 60604
United States
(312) 322-5969 (Phone)
Feedback to SSRN


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References:  19
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